Yes, for some reason many themes dont do this. However the new WP-Andreas09 does it which I think is great. And now that the initial bugs has been ironed out, it is a great theme. In my opinion prettier than Almost Spring. But that's me. :) I'd suggest you to send feedback to the theme author and ask him or her to update the theme with this feature.

The issue is that the author has to actually write the theme and tell WP to do it as such.

The function call from the themes to list the categories is wp_list_cats. By default, it lists them by ID. I'm asuming that most authors do this because it's fairly easy to go in there and edit this simple tag to get it to do what you want.